Journal Article
The New Keynesian Phillips curve : lessons from single-equation econometric estimation
Abstract: We review single-equation methods for estimating the hybrid New Keynesian Phillips curve (NKPC) and then apply those methods to U.S. quarterly data for 1955?2007. Estimating the hybrid NKPC by the generalized method of moments yields stable coefficients with a large role for expected future inflation. Measures of marginal costs better explain U.S. inflation than does a range of measures of the output gap. But estimates of the slope of the NKPC are imprecise and confidence intervals that are robust to weak identification are wide. Further research on measuring marginal costs may reconcile these mixed findings. A reconciliation is important if the NKPC is to remain a fundamental component of models of the monetary transmission mechanism.
Keywords: Phillips curve; Inflation (Finance);
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Bibliographic Information
Provider: Federal Reserve Bank of Richmond
Part of Series: Economic Quarterly
Publication Date: 2008
Volume: 94
Issue: Fall
Pages: 361-395